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The probability of default (PD) estimation is an important process for financial institutions. The difficulty of the estimation depends on the correlations between borrowers. In this paper, we introduce a hierarchical Bayesian estimation…

The adoption of Machine and Deep Learning (ML/DL) technologies introduces maintenance challenges, leading to Technical Debt (TD). Algorithm Debt (AD) is a TD type that impacts the performance and scalability of ML/DL systems. A review of 42…

This paper studies the identification, estimation, and hypothesis testing problem in complete and incomplete economic models with testable assumptions. Testable assumptions ($A$) give strong and interpretable empirical content to the models…

Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-market, covariances of elliptically distributed latent factors.…

The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…

In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either…

The technical debt (TD) metaphor is widely used to encapsulate numerous software quality problems. She describes the trade-off between the short term benefit of taking a shortcut during the design or implementation phase of a software…

In this note we describe the application of existing smart contract technologies with the aim to construct a new digital representation of a financial derivative contract. We compare several existing DLT based technologies. We provide a…

Technical debt refers to the trade-offs between code quality and faster delivery, impacting future development with increased complexity, bugs, and costs. This study empirically analyzes the additional work effort caused by technical debt…

A minimal central bank credibility, with a non-zero probability of not renegning his commitment ("quasi-commitment"), is a necessary condition for anchoring inflation expectations and stabilizing inflation dynamics. By contrast, a complete…

The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the…

Borrowing constraints are a key component of modern international macroeconomic models. The analysis of Emerging Markets (EM) economies generally assumes collateral borrowing constraints, i.e., firms access to debt is constrained by the…

We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can…

This paper provides a formal econometric framework behind the newly developed difference-in-discontinuities design (DiDC). Despite its increasing use in applied research, there are currently limited studies of its properties. We formalize…

The tokenization of assets deployed to distributed ledger technology is increasingly cited to revolutionize financial services by allowing traditionally illiquid assets to be bought and sold on primary and secondary markets increasing asset…

Sufficient conditions for performing changes of the variable of integration when using the new definitions of improper integrals given in in "An Alternative Definition for Improper Integral with Infinite Limit" (arXiv:0805.3559v1) and "An…

Stability of linear systems with uncertain bounded time-varying delays is studied under assumption that the nominal delay values are not equal to zero. An input-output approach to stability of such systems is known to be based on the bound…

Technical debt refers to the consequences of sub-optimal decisions made during software development that prioritize short-term benefits over long-term maintainability. Self-Admitted Technical Debt (SATD) is a specific form of technical…

Experimental results on market behavior establish a lower stability and efficiency of markets for durable re-tradable assets compared to markets for non-durable, or perishable, goods. In this chapter, we revisit this known but…

Speeding up development may produce technical debt, i.e., not-quite-right code for which the effort to make it right increases with time as a sort of interest. Developers may be aware of the debt as they admit it in their code comments.…